"EVERY_N_MILLISECONDS"

Yes, it is defined in the FastLED library. It is a preprocessor macro which is replaced by a block of code when compiled:

It is a very convoluted bit of preprocessing code that is difficult (even for me) to follow through with lots of concatenations and multiple layers of definition, so my advice is to just not worry about it and just use it.

If you want to try and decypher it all it's in the file lib8tion.h in the FastLED library.